The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.
The companies’ performance that internationalize incurs in alterations along the internationalization process. Besides, this process might happen incrementally with time, slowly, or it can occur quickly, like in companies born global. Face the internationalization influence on companies’ performance and how fast this process occurs, the aim of this paper is to examine the relation between internationalization speed and Brazilian public companies performance, which are part of this paper sample, except by the financial ones, listed on Brazilian multinational ranking by Dom Cabral Foundation (FDC), within the years 2007 to 2014. The data was collected from Economatica database and FDC reports, and analyzed through models of linear regression with panel data, considering two measures for internationalization speed. The results pointed no significant statically relation on the measure of internationalization speed and those companies’ performance. This paper contributes to the literature by providing evidence regarding the effect of speed of internationalization on performance of Brazilian firms, since it is still little explored when compared to studies about the degree of internationalization and performance. For further researches, the use of others internationalization speed and performance variables are suggested.
This analysis of the impact of innovation and company value on the performance of Brazilian companies in the stock market. Specifically, the objective of this analysis was analyzed, in an unprecedented way, the contribution of spending on research and development together with the market value, having as a proxy the book-to-market (BM) index, on the return and on the abnormal return of the shares of publicly traded Brazilian companies listed on the Brasil Bolsa Balcão (B3) stock exchange. The main theoretical bases used were extracted from the literature of the themes, through a theoretical review of the main authors and existing portfolio theories in the economic-financial literature on the construction of portfolios to price assets through econometric tests of risk-premium factors of investing in stocks. The theoretical review will clarify the main fundamentals about the influence of research and development (R&D) on market performance and certify R&D expenditure as a substitute variable for innovative effort.The econometric method used by fixed effects regression of panel data investigated two effects in the second trial: i) the relationship between research and development and stock returns and ii) the relationship between the variation of the variation in research and development spending and value on stock returns. The results found were: i) the sample of R&D and stock returns of Brazilian companies have a negative and statistically significant relationship at a 5% confidence level in current periods and ii) there is no statistically significant relationship between the variation in R&D combined with the market value in shareholder returns. No third essay uses the double portfolio classification method and cross-section regression of the constructed portfolios to test, empirically, the joint relationship of R&D expenditure and value in the generation of abnormal returns in the stock market. The asset pricing models for the formation of efficient portfolios, used to capture abnormal returns in the stock market were: i) 3-factor and 5-factor models by Fama and French (1993; and ii) 4-factor model by Carhart ( 1997). The main results found were: i) for stock market investment analysis, it is important for investors to monitor the performance of portfolios consisting of high R&D intensity and high degree of BM, which generate greater future cash flows and enable more expected returns high; ii) in the 3, 4, and 5 factor models, statistically relevant relationships were identified in the portfolios built by market, size, value, momentum, profitability, and investment factors and iii) the existence of abnormally high returns in the market was detected. shares of Brazilian companies listed on B3, but only in companies that are intense in R&D and with a medium or high degree of BM, and that in companies that are intensive in R&D, there is a reinforcement in relation to the average value by BM over the excess return of shareholders.
Investigar a relação entre a internacionalização das empresas e a riqueza de seus acionistas.Método: A seleção da amostra foi realizada na Base de dados da Economática, considerando empresas brasileiras listadas na B3. O critério utilizado para identificar uma empresa multinacional foi a medida do grau de internacionalização DOI (UNCTAD 1995), utilizada pela Fundação Dom Cabral. O período de análise considerado neste trabalho foi de 2006 a 2013. Utilizou-se regressão com dados em painel.Originalidade/Relevância: Uma das razões que leva as empresas a investirem no exterior é a busca por eficiência, a fim de gerar retorno para os seus proprietários. Portanto, surge a oportunidade de avaliar se a expansão internacional exerce influência sobre o aumento do valor da empresa das multinacionais de economias em desenvolvimento, sob a premissa de que, ao se internacionalizar, as empresas não só expandem o mercado em que atuam, mas passam a lidar com contextos diferentes daqueles apresentados às empresas domésticas, o que pode também influenciar na riqueza dos acionistas.Resultados: Identificou-se que quanto maior o grau de internacionalização das empresas, maior o valor adicionado aos seus acionistas. Este resultado sugere que a decisão de internacionalizar pode aumentar a riqueza do acionista e, portanto, deve ser almejada pelos gestores.Contribuições teóricas/metodológicas: Especificamente, foi estimado que em média anual a riqueza dos acionistas aumenta 219,1% para cada aumento de 1% no grau de internacionalização. Este resultado sugere que os acionistas percebem que seu retorno aumenta no caso das empresas se diversificarem investindo seu capital em ativos direcionados para mercados internacionais. Pode-se inferir que o mercado percebe que sua riqueza aumenta com o nível de caixa, investimento adicional em caixa, incremento em juros, dividendos e financiamento líquido. Ao contrário, o mercado considera que o aumento de endividamento reduz sua riqueza.Contribuições sociais / para a gestão: Contribuir com conhecimentos práticos e teóricos sobre mercado de capitais na sociedade. Pretende-se orientar gestores na tomada de decisões sobre o conflito de agência entre acionistas e administradores.
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